Diversification des institutions financières et risque systémique: la prise en compte des risques extrêmes

Noëlle Duport (), Éric Fina and Daniel Goyeau ()
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Noëlle Duport: CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière - UP - Université de Poitiers = University of Poitiers, Axe 2 (2017-2021) : "Vulnérabilités et risques" (MSHS Poitiers) - MSHS de Poitiers - Maison des sciences de l'homme et de la société de Poitiers - UP - Université de Poitiers = University of Poitiers - CNRS - Centre National de la Recherche Scientifique, CPER INSECT - CPER "INnovation Sociale, Economique et Culturelle dans des Territoires en mutation" (MSHS Poitiers) - MSHS de Poitiers - Maison des sciences de l'homme et de la société de Poitiers [UAR 3565] - UP - Université de Poitiers = University of Poitiers - CNRS - Centre National de la Recherche Scientifique
Éric Fina: CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière - UP - Université de Poitiers = University of Poitiers, Axe 2 (2017-2021) : "Vulnérabilités et risques" (MSHS Poitiers) - MSHS de Poitiers - Maison des sciences de l'homme et de la société de Poitiers - UP - Université de Poitiers = University of Poitiers - CNRS - Centre National de la Recherche Scientifique
Daniel Goyeau: CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière - UP - Université de Poitiers = University of Poitiers, Axe 2 (2017-2021) : "Vulnérabilités et risques" (MSHS Poitiers) - MSHS de Poitiers - Maison des sciences de l'homme et de la société de Poitiers - UP - Université de Poitiers = University of Poitiers - CNRS - Centre National de la Recherche Scientifique

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Abstract: This article examines the effects of diversification on systemic risk, and its implications for regulatory capital from a macro-prudential perspective. The systemic risk studied is that resulting from a common exposure of banking institutions: when the latter diversify their activities, the compositions of their assets converge, making them therefore susceptible to the same shocks. In this context, the contribution of this article is threefold: firstly, it analyzes the evolution of capital that would compensate for the increased risk of a generalized crisis; secondly, it assumes that the return on banking asset follows a Gumbel distribution, allowing for better modeling of extreme risks (especially on the left tail) than does a gaussian distribution; thirdly, it analyzes arbitrage in terms of regulatory capital for individual risk vs. systemic risk resulting from diversification. We point out that, in this context, the regulator cannot manage individual and systemic risks with a single instrument. Indeed, diversification allows a bank to reduce its individual risk and therefore, from a micro-prudential perspective, to reduce its level of regulatory capital. However, as this strategy leads to an increase in systemic risk, under the macro-prudential regulation, it should hold more. The prudential micro and macro objectives may thus diverge, and thus require two instruments of regulation.

Keywords: financial diversification; systemic risk; prudential regulation; regulatory capital; réglementation prudentielle; risque systémique; Diversification financière; fonds propres (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

Published in Revue Economique, 2018, 69 (3), pp.477. ⟨10.3917/reco.693.0477⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02162274

DOI: 10.3917/reco.693.0477

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